Links or Formatting in Headlines

It seems that I can't use any other syntax inside headlines. Is this a bug?

No, it's not a bug. It's a limitation of how headlines work in DokuWiki. There are two reasons:

1. From a typographic view it's considered bad style to have any formatting in headlines
2. The headlines are used in the TOC and some other places as well, doing this with markup in between would be technically very complicated and error prone

A more detailed technical explanation is available in this mailing list post.